def next_imm_date(reference_date, tenor):
"""
Third Wednesday of contract month
"""
dt = reference_date
for k in range(tenor):
dt = imm.next_date(dt)
return pydate_from_qldate(dt)
def next_imm_date(reference_date, tenor):
"""
Third Wednesday of contract month
"""
dt = reference_date
for k in range(tenor):
dt = imm.next_date(dt)
return pydate_from_qldate(dt)
def next_imm_date(reference_date, tenor):
"""
Third Wednesday of contract month
"""
dt = qldate_from_pydate(reference_date)
for k in range(tenor):
tmp = imm.next_date(dt)
dt = pydate_to_qldate(tmp)
return pydate_from_qldate(dt)
def next_imm_date(reference_date, tenor):
"""
Third Wednesday of contract month
"""
dt = qldate_from_pydate(reference_date)
for k in range(tenor):
tmp = imm.next_date(dt)
dt = pydate_to_qldate(tmp)
return pydate_from_qldate(dt)
def zero_curve(ts, dtObs):
dtMax = ts.max_date
calendar = TARGET()
days = range(10, 365 * 20, 30)
dtMat = [min(dtMax, calendar.advance(Date.from_datetime(dtObs), d, Days))
for d in days]
# largest dtMat < dtMax, yet QL run time error
df = np.array([ts.discount(dt) for dt in dtMat])
dtMat = [pydate_from_qldate(dt) for dt in dtMat]
dtToday = dtObs.date()
dt = np.array([(d - dtToday).days / 365.0 for d in dtMat])
zc = -np.log(df) / dt
return (dtMat, zc)
def zero_curve(ts, dtObs):
dtMax = ts.max_date
calendar = TARGET()
days = range(10, 365 * 20, 30)
dtMat = [
min(dtMax, calendar.advance(Date.from_datetime(dtObs), d, Days))
for d in days
]
# largest dtMat < dtMax, yet QL run time error
df = np.array([ts.discount(dt) for dt in dtMat])
dtMat = [pydate_from_qldate(dt) for dt in dtMat]
dtToday = dtObs.date()
dt = np.array([(d - dtToday).days / 365.0 for d in dtMat])
zc = -np.log(df) / dt
return (dtMat, zc)
